APPENDIX VI LCR to FR 2052a Mapping - Federal Reserve
Post on 18-Dec-2021
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APPENDIX VI
LCR to FR 2052a Mapping Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to assist reporting firms subject to the liquidity coverage ratio rule (LCR Rule1) in mapping the provisions of the LCR Rule to the unique data identifiers reported on FR 2052a. This mapping document is not a part of the LCR Rule nor a component of the FR 2052a report. Firms may use this mapping document solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be published and reporting firms will be notified of these changes.
Key
* Values relevant to the LCR # Values not relevant to the LCR NULL Should not have an associated value
LCR Calculation2
πΏπΏπΏπΏπΏπΏ = π»π»π»π»πΏπΏπ»π» ππππππππππππ
ππππππππππ ππππππ πΏπΏπππΆπΆβ πππππππππππππππΆπΆ
π»π»π»π»πΏπΏπ»π» ππππππππππππ = (πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .85(πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .5(πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) - πππ»π»ππ[ πππππππππππππΆπΆππππππ πππππ π πππΆπΆπΆπΆ π»π»π»π»πΏπΏπ»π», π»π»πππππππΆπΆππππππ πππππ π πππΆπΆπΆπΆ π»π»π»π»πΏπΏπ»π» ]
πππππππππππππΆπΆππππππ πππππ π πππΆπΆπΆπΆ π»π»π»π»πΏπΏπ»π» = πΏπΏπππΏπΏππππ 2 π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ + πΏπΏπππΏπΏππππ 2π΅π΅ π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ
πΏπΏπππΏπΏππππ 2 π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ = πππ»π»[ 0, .85(πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .5(πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) -.6667(πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) ]
πΏπΏπππΏπΏππππ 2π΅π΅ π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ = πππ»π»[ 0, .5(πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) -πΏπΏπππΏπΏππππ 2 π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ -.1765( (πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .85(πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) ) ]
π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππ 1 π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄
= π»π»π΄π΄πππ΄π΄ππ 1 π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄ + πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππππ΄π΄πππ΄π΄π΄π΄
1 Refer to LCR Rule as defined as specified in section 10 (c) of the LRM standards. 2 For the maturity mismatch addβon, please note that Open maturity should still be reported in FR 2052a, and the LCR calculation will convert Open to day 1 pursuant to section 31(a)(4) of the LCR Rule.
2
-πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 1 πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ -πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππππ΄π΄πππ΄π΄π΄π΄ + πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 1 πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ + π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππππ΄π΄πππ΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 1 π΄π΄π΄π΄π π π π π’π’πππ΄π΄π΄π΄πππ΄π΄ -π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 1 πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄
π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππ 2π΄π΄ π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄
= π»π»π΄π΄πππ΄π΄ππ 2π΄π΄ π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄ -πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ + πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ + π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππππ΄π΄πππ΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΄π΄ π΄π΄π΄π΄π π π π π’π’πππ΄π΄π΄π΄πππ΄π΄ -π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄
π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππ 2π΅π΅ π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄
= π»π»π΄π΄πππ΄π΄ππ 2π΅π΅ π»π»π»π»π»π»π΄π΄ πππ΄π΄π΄π΄πππ΄π΄πππππ΄π΄ πππππππ΄π΄π΄π΄π΄π΄ -πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΅π΅ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ + πππ΄π΄πππ΄π΄π’π’π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππππππ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΅π΅ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄ + π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππππ΄π΄πππ΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΅π΅ π΄π΄π΄π΄π π π π π’π’πππ΄π΄π΄π΄πππ΄π΄ -π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄ππππβπππππππ΄π΄ π΄π΄πππ’π’πππππ΄π΄ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄π΄π΄ π’π’πππ΄π΄β π»π»π΄π΄πππ΄π΄ππ 2π΅π΅ πππππππππππ΄π΄π΄π΄π’π’ππππ πππππππ΄π΄π΄π΄
π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ π΄π΄πππππ΄π΄π΄π΄π΄π΄ π»π»π»π»π»π»π΄π΄ = π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππ 2 πππππ π π΄π΄πππππ΄π΄π΄π΄π΄π΄ πππππππ΄π΄πππ΄π΄ + π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄ πππ΄π΄πππ΄π΄ππ 2π΅π΅ πππππ π π΄π΄πππππ΄π΄π΄π΄π΄π΄ πππππππ΄π΄πππ΄π΄
π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2 π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ = πππ»π»[ 0, .85(π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ -πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .5(π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ -πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) -.6667(π»π»πππππππΆπΆππππππ πππππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ -πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) ]
π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2π΅π΅ π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ = πππ»π»[ 0, .5(π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ - πΏπΏπππΏπΏππππ 2π΅π΅ π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) -π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2 π π ππππ πππππ π πππΆπΆπΆπΆ ππππππππππππ -.1765( (π»π»πππππππΆπΆππππππ πππππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ -πΏπΏπππΏπΏππππ 1 π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) + .85(π»π»πππππππΆπΆππππππ πππππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πππππππππππππΏπΏππ πΏπΏπππππππππΆπΆ -πΏπΏπππΏπΏππππ 2π»π» π»π»π»π»πΏπΏπ»π» πΆπΆπππ π πππ π πππ π πππππΏπΏππ πΏπΏπππππππππΆπΆ) ) ]
πππππ΄π΄ππππ πππ΄π΄π΄π΄ πΆπΆπππ΄π΄β πππ΄π΄π΄π΄πππππππ’π’π΄π΄
= πππ΄π΄π΄π΄πππππππ’π’ π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄π΄πππ΄π΄πππ΄π΄ πππ΄π΄π’π’πππ΄π΄πππ΄π΄πππππ΄π΄ β [ πππ΄π΄π΄π΄πππππππ’π’ πππππππ΄π΄π΄π΄π΄π΄ β π π π΄π΄π΄π΄π π π΄π΄πππ΄π΄πππππ΄π΄ πππ΄π΄π΄π΄πππππππ’π’ π’π’πππ΄π΄π΄π΄π΄π΄ -ππππππ [ πππππππππππ’π’ πππππππ΄π΄π΄π΄π΄π΄ β π π π΄π΄π΄π΄π π π΄π΄πππ΄π΄πππππ΄π΄ πππππππππππ’π’ π’π’πππ΄π΄π΄π΄π΄π΄, .75(πππ΄π΄π΄π΄πππππππ’π’ πππππππ΄π΄π΄π΄π΄π΄ β π π π΄π΄π΄π΄π π π΄π΄πππ΄π΄πππππ΄π΄ πππ΄π΄π΄π΄πππππππ’π’ π’π’πππ΄π΄π΄π΄π΄π΄) ] + πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππ΄π΄πππππ΄π΄ππβ πππ΄π΄π΄π΄ ππππ ]
πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππππ΄π΄πππππ΄π΄ππβ πππ΄π΄π΄π΄ ππππ = πππ΄π΄ππ [ 0, π»π»πππ’π’πππ΄π΄π΄π΄π΄π΄ πππ΄π΄π΄π΄ πππ΄π΄πππ΄π΄πππππ΄π΄πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππ΄π΄π΄π΄πππππππ’π’ πππππππ΄π΄πππ΄π΄ ]
3
-πππ΄π΄ππ [ 0, πππ΄π΄π΄π΄ π΄π΄ππππ 30 πππ΄π΄πππ΄π΄πππππ΄π΄πππππ΄π΄ πππππ΄π΄π΄π΄π’π’πππ΄π΄ππ πππ΄π΄π΄π΄πππππππ’π’ πππππππ΄π΄πππ΄π΄ ]
4
Outflow Adjustment Percentage Example Banking organizations subject to LCR requirements should determine their category of standards under the LCR rule and apply the appropriate outflow adjustment percentage.
Outflow adjustment percentage
Global systemically important BHC or GSIB depository institution 100 percent
Category II Boardβregulated institution 100 percent
Category III Boardβregulated institution with $75 billion or more in average weighted shortβ term wholesale funding and any Category III Boardβregulated institution that is a consolidated subsidiary of such a Category III Boardβregulated institution
100 percent
Category III Boardβregulated institution with less than $75 billion in average weighted shortβ term wholesale funding and any Category III Boardβregulated institution that is a consolidated subsidiary of such a Category III Boardβregulated institution
85 percent
Category IV Boardβregulated institution with $50 billion or more in average weighted shortβ term wholesale funding
70 percent
5
HQLA Amount Values
HQLA Additive Values
(1) High-Quality Liquid Assets (Subpart C, Β§.20-.22) Field Value Reporting Entity LCR Firm PID I.A.1, 2, and 3 Product Matches PID SubβProduct Not Currency and Coin Market Value * Lendable Value # Maturity Bucket Open for I.A.3, # otherwise Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA (except Aβ0βQ for I.A.2) Treasury Control Y Accounting Designation # Encumbrance Type NULL Internal Counterparty #
(2) Rehypothecatable Collateral (Subpart C, Β§.20-.22)
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 4, 5, and 6 Product Matches PID SubβProduct # Maturity Amount # Maturity Bucket # Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA (except Aβ0βQ) Collateral Value * Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
6
(3) Rehypothecatable Collateral (Subpart C, Β§.20-.22) Field Value Reporting Entity LCR Firm PID S.DC. 7 and 10 Product Matches PID SubβProduct Rehypothecatable β Unencumbered Treasury Control Y SubβProduct2 # Market Value * Collateral Class HQLA Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Internal # Internal Counterparty # Business Line #
HQLA Subtractive Values
(4) Excluded Sub HQLA (Β§.22(b)(3)and(4)) Field Value Reporting Entity LCR Firm PID S.L.1 Product Matches PID Market Value * Collateral Class HQLA Internal # Internal Counterparty #
(5) Early Hedge Termination Outflows (Β§.22(a)(3))
Field Value Reporting Entity LCR Firm PID S.L.3 Product Matches PID Market Value * Collateral Class HQLA Internal # Internal Counterparty #
(6) Excess Collateral (Β§.22(b)(5))
Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID
7
SubβProduct # Treasury Control Y SID2 # SubβProduct2 # Market Value * Collateral Class HQLA Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Internal # Internal Counterparty # Business Line #
Unwind Transactions
(7) Secured Lending Unwind (Subpart C, Β§.21) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, and 6 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days, but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Unencumbered Y if Effective Maturity Bucket is NULL, otherwise
# Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(8) Secured Funding Unwind (Subpart C, Β§.21)
Field Value Reporting Entity LCR Firm
8
PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID SID Matches SubβProduct SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Treasury Control Y Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty # GβSIB #
(9) Asset Exchange Unwind (Subpart C, Β§.21)
Field Value Reporting Entity LCR Firm PID I.S.4 Product # SubβProduct Level 1 HQLA, Level 2A HQLA, and Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days, not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Unencumbered Y if Effective Maturity Bucket is NULL, otherwise
# Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
9
OUTFLOW VALUES
(10) Stable Retail Deposits (Β§.32(a)(1)) Field Value Reporting Entity LCR Firm PID O.D.1 and 2 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(11) Other Retail Deposits (Β§.32(a)(2))
Field Value Reporting Entity LCR Firm PID O.D.1, 2, and 3 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC for PID = 1 and 2, and # for PID = 3 Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(12) Insured Placed Retail Deposits (Β§.32(a)(3))
Field Value Reporting Entity LCR Firm PID O.D.14 Product Matches PID Counterparty Retail or Small Business GβSIB #
10
Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(13) Non-Insured Placed Retail Deposits (Β§.32(a)(4))
Field Value Reporting Entity LCR Firm PID O.D.14 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(14) Other Retail Funding (Β§.32(a)(5))
Field Value Reporting Entity LCR Firm PID O.D.15 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated NULL Business Line #
11
Internal # Internal Counterparty #
(15) Other Retail Funding (Β§.32(a)(5))
Field Value Reporting Entity LCR Firm PID O.O.22 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(16) Other Retail Funding (Β§.32(a)(5))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 7 and 11 Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket # Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Retail or Small Business GβSIB #
(17) Other Retail Funding (Β§.32(a)(5))
Field Value Reporting Entity LCR Firm PID O.W.18
12
Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(18) Structured Transaction Outflow Amount (Β§.32(b))
(The total amount for 32(b) is the relevant commitment amounts plus the incremental increase from O.O.21)
Field Value Reporting Entity LCR Firm PID O.O.21 (adds the incremental amount) Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(19) Net Derivatives Cash Outflow Amount (Β§.32(c))
Field Value Reporting Entity LCR Firm PID O.O.20 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value #
13
Internal # Internal Counterparty # Business Line #
(20) Mortgage Commitment Outflow Amount (Β§.32(d))
Field Value Reporting Entity LCR Firm PID O.O.6 Product Matches PID Counterparty Retail GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(21) Affiliated DI Commitments (Β§.32(e)(1)(i))
Field Value Reporting Entity LCR Firm that is a depository institution PID O.O.4 and 5 Product Matches PID Counterparty Bank GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal Y Internal Counterparty Bank from the U.S. subject to the LCR Business Line #
(22) Retail Commitments (Β§.32(e)(1)(ii))
Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for
14
O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(23) Non-Financial Corporate Credit Facilities (Β§.32(e)(1)(iii))
Field Value Reporting Entity LCR Firm PID O.O.4 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(24) Non-Financial Corporate Liquidity Facilities (Β§.32(e)(1)(iv))
Field Value Reporting Entity LCR Firm PID O.O.5 and 18 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Municipalities for VRDN Structures
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(25) Bank Commitments (Β§.32(e)(1)(v))
15
Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Bank GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal Y Internal Counterparty Bank not from the U.S. or Bank from the U.S. not
subject to the LCR Business Line #
(26) Bank Commitments (Β§.32(e)(1)(v))
Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Bank GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for
O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal N Internal Counterparty NULL Business Line #
(27) Non-Bank and Non-SPE Financial Sector Entity Credit Facilities (Β§.32(e)(1)(vi))
Field Value Reporting Entity LCR Firm PID O.O.4 Product Matches PID Counterparty Pension Fund, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund,
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days
16
Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(28) Non-Bank and Non-SPE Financial Sector Entity Liquidity Facilities (Β§.32(e)(1)(vii))
Field Value Reporting Entity LCR Firm PID O.O.5 and 18 Product Matches PID Counterparty Pension Fund, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund,
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(29) Debt Issuing SPE Commitments (Β§.32(e)(1)(viii))
Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Debt Issuing SPE GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for
O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(30) Other Commitments (Β§.32(e)(1)(ix))
Field Value
17
Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for
O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line #
(31) Changes in Financial Condition (Β§.32(f)(1))
Field Value Reporting Entity LCR Firm PID O.O.16 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(32) Changes in Financial Condition (Β§.32(f)(1))
Field Value Reporting Entity LCR Firm PID O.O.12 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal #
18
Internal Counterparty # Business Line #
(33) Derivative Collateral Potential Valuation Changes (Β§.32(f)(2))
Field Value Reporting Entity LCR Firm PID S.DC.5, 6, 8, and 9 Product Matches PID SubβProduct # SubβProduct2 Not OTC β Centralized (Agent) or Exchangeβ
traded (Agent) Market Value * Collateral Class Not level 1 HQLA Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line #
(34) Potential Derivative Valuation Changes (Β§.32(f)(3))
Field Value Reporting Entity LCR Firm PID O.O.8 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(35) Collateral Deliverables (Β§.32(f)(4))
Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID SubβProduct #
19
SubβProduct2 # Market Value * Collateral Class Not HQLA Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line #
(36) Collateral Deliverables (Β§.32(f)(4))
Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID SubβProduct # SubβProduct2 # Market Value * Collateral Class HQLA Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control N Internal # Internal Counterparty # Business Line #
(37) Collateral Deliverables (Β§.32(f)(5))
Field Value Reporting Entity LCR Firm PID S.DC.16 Product Matches PID SubβProduct # SubβProduct2 # Market Value * Collateral Class # Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket #
20
Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line #
(38) Collateral Substitution (Β§.32(f)(6))
Field Value Reporting Entity LCR Firm PID S.DC.18 and 20 Product Matches PID SubβProduct # SubβProduct2 # Market Value * Collateral Class # Collateral Level # Counterparty # GβSIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line #
(39) Other Brokered Retail Deposits Maturing within 30 days (Β§.32(g)(1))
Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days (but not open) Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(40) Other Brokered Retail Deposits Maturing later than 30 days (Β§.32(g)(2))
21
Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket > 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(41) Insured Other Brokered Retail Deposits with No Maturity(Β§.32(g)(3))
Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket Open Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(42) Not Fully Insured Other Brokered Retail Deposits with No Maturity (Β§.32(g)(4))
Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket Open Maturity Optionality #
22
Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(43) Insured Reciprocal (Β§.32(g)(5))
Field Value Reporting Entity LCR Firm PID O.D.13 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(44) Not Fully Insured Reciprocal (Β§.32(g)(6))
Field Value Reporting Entity LCR Firm PID O.D.13 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line Internal # Internal Counterparty #
23
(45) Insured Affiliated Sweeps (Β§.32(g)(7)) Field Value Reporting Entity LCR Firm PID O.D.9 and 10 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(46) Insured Non-Affiliated Sweeps (Β§.32(g)(8))
Field Value Reporting Entity LCR Firm PID O.D.11 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(47) Sweeps that are not Fully Insured (Β§.32(g)(9))
Field Value Reporting Entity LCR Firm PID O.D.9, 10 and 11 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket #
24
Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(48) Insured Unsecured Wholesale Non-Operational Non-Financial (Β§.32(h)(1)(i))
Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(49) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (Β§.32(h)(1)(ii)(A))
Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured Not FDIC Trigger # Rehypothecated # Business Line #
25
Internal # Internal Counterparty #
(50) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (Β§.32(h)(1)(ii)(A))
Field Value Reporting Entity LCR Firm PID O.W.9, 10, 17, 18 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(51) Unsecured Wholesale Brokered Deposit Non-Operational Non-Financial (Β§.32(h)(1)(ii)(B))
Field Value Reporting Entity LCR Firm PID O.D.8 β 11, 13 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(52) Financial Non-Operational (Β§.32(h)(2))
Field Value Reporting Entity LCR Firm PID O.D.5, 6 , 8β11 and 13
26
Product Matches PID Counterparty Pension Fund, Bank, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(53) Financial Non-Operational (Β§.32(h)(2))
Field Value Reporting Entity LCR Firm PID O.W.9, 10, 17, and 18 Product Matches PID Counterparty Pension Fund, Bank, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line #
(54) Issued Debt Securities Maturing within 30 Days (Β§.32(h)(2))
Field Value Reporting Entity LCR Firm PID O.W.8,11β16 Product Matches PID Counterparty # GβSIB # Maturity Amount *
27
Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class * Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(55) Insured Operational Deposits (Β§.32(h)(3))
Field Value Reporting Entity LCR Firm PID O.D.4 Product Matches PID Counterparty Not Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(56) Not Fully Insured Operational Deposits (Β§.32(h)(4))
Field Value Reporting Entity LCR Firm PID O.D.4 Product Matches PID Counterparty All except Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal #
28
Internal Counterparty #
(57) Not Fully Insured Operational Deposits (Β§.32(h)(4)) Field Value Reporting Entity LCR Firm PID O.D.7 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(58) Other Unsecured Wholesale (Β§.32(h)(5))
Field Value Reporting Entity LCR Firm PID O.D.14 and 15 Product Matches PID Counterparty Not Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(59) Other Unsecured Wholesale (Β§.32(h)(5))
Field Value Reporting Entity LCR Firm PID O.W.19 Product Matches PID Counterparty Not Retail or Small Business GβSIB #
29
Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency #
(60) Issued Not Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(Β§.32(i)(1)) Field Value Reporting Entity LCR Firm PID S.L.4 Product Matches PID Market Value * Collateral Class # Internal # Internal Counterparty #
(61) Issued Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker
(Β§.32(i)(2)) Field Value Reporting Entity LCR Firm PID S.L.5 Product Matches PID Market Value * Collateral Class # Internal # Internal Counterparty #
*Footnotes appearing in the Secured Funding L1 tables regarding central bank secured funding apply to all other secured funding tables.
(62) Secured Funding L1 (Β§.32(j)(1)(i))
Field Value Reporting Entity LCR Firm PID O.D.4, 5, 6 and 7 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central Bank
(FRB and other central banks where the sovereign has not established its own outflow rate)3, GSE,
3 Central bank is determined by currency. For central banks whose currencies are not included in the major currencies reported, the outflow rate will be assumed to be 0% because the jurisdiction cannot be determined.
30
PSE, MDB, Other Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(63) Secured Funding L1 (Β§.32(j)(1)(i))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR outflow rate)4, 7 and 11
Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement #
4 For O.S.6, if the counterparty is OCB, the outflow rate will be assumed to be 0% because the jurisdiction cannot be determined.
31
Rehypothecated # Counterparty NonβFinancial Corporate, Sovereign, Central Bank
(FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB #
(64) Secured Funding L1 (Β§.32(j)(1)(i))
Field Value Reporting Entity LCR Firm PID O.W.1β7 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(65) Secured Funding L2A (Β§.32(j)(1)(ii))
Field Value Reporting Entity LCR Firm PID O.D.4 (not FDIC insured), 5, 6 and 7 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central Bank
(FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days
32
Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured If O.D.4 then not FDIC, otherwise # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(66) Secured Funding L2A (Β§.32(j)(1)(ii))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR outflow rate), 7 and 11
Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty NonβFinancial Corporate, Sovereign, Central Bank
(FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB #
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(67) Secured Funding L2A (Β§.32(j)(1)(ii)) Field Value Reporting Entity LCR Firm PID O.W.1β7 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(68) Secured Funding from Governmental Entities not L1 or L2A (Β§.32(j)(1)(iii))
Field Value Reporting Entity LCR Firm PID O.D.4, 5 and 6 (if not FDIC insured) and 7 Product Matches PID Counterparty Sovereign, Central Bank (FRB and other central
banks where the sovereign has not established its own outflow rate), GSE, or MDB
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Not Level 1 or 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured Not FDIC for O.D.4β6, # for O.D.7 Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(69) Secured Funding from Governmental Entities not L1 or L2A (Β§.32(j)(1)(iii))
34
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks
where the sovereign has not established an LCR outflow rate), 7 and 11
Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not Level 1 or 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Sovereign, Central Bank (FRB and other central
banks where the sovereign has not established its own outflow rate), GSE, or MDB
GβSIB #
(70) Secured Funding L2B (Β§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.D.4 and 7 (only collateralized deposits)5 Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality #
5 Secured deposits must meet the definition of a βcollateralized depositβ under .32 of the LCR rule to be eligible for reporting under O.D.4 or O.D.7 (subject to the additional definitional requirements of these products). Secured deposits that do not meet the definition of a βcollateralized depositβ should be reported under O.D.5 or O.D.6.
35
Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured # Trigger # Rehypothecated Y Business Line # Internal # Internal Counterparty #
(71) Secured Funding L2B (Β§.32(j)(1)(iv))
Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other,
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured # Trigger # Rehypothecated Y for NonβFinancial Corporate, PSE, Other
Supranational, Other; # for Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
Business Line # Internal # Internal Counterparty #
(72) Secured Funding L2B (Β§.32(j)(1)(iv))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 7 and 11
36
Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated Y for NonβFinancial Corporate, PSE, Other
Supranational, Other; # for Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
CID Matches Counterparty Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund Debt Issuing SPE, Other
GβSIB #
(73) Secured Funding L2B (Β§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.W.1β7 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
37
Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(74) Customer Shorts Funded by Non-HQLA Customer Longs (Β§.32(j)(1)(v))
Field Value Reporting Entity LCR Firm PID O.S.7 Product Matches PID SubβProduct Customer Long Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB #
(75) Secured Funding Non-HQLA (Β§.32(j)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.D.4 and 7 (only collateralized deposits) Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days
38
Maturity Optionality # Collateral Class Not Level 1, 2A or 2B Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured # Trigger # Rehypothecated Y Business Line # Internal # Internal Counterparty #
(76) Secured Funding Non-HQLA (Β§.32(j)(1)(vi))
Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund Debt Issuing SPE, Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Not Level 1, 2A or 2B Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Insured # Trigger # Rehypothecated Y for NonβFinancial Corporate, PSE, Other
Supranational, Other; # for Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
Business Line # Internal # Internal Counterparty #
(77) Secured Funding Non-HQLA (Β§.32(j)(1)(vi))
Field Value Reporting Entity LCR Firm
39
PID O.S.1, 2, 3, 7 and 11 Product Matches PID SubβProduct For O.S.7, cannot be Customer Long, Unsettled
(Regular Way) or Unsettled (Forward); #otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not Level 1, 2A or 2B Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated Y for NonβFinancial Corporate, PSE, Other
Supranational, Other; # for Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
Counterparty NonβFinancial Corporate, PSE, Other Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE Other
GβSIB #
(78) Secured Funding Non-HQLA (Β§.32(j)(1)(vi))
Field Value Reporting Entity LCR Firm PID O.W.1β7 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Not Level 1, 2A or 2B Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h)
40
Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
(79) Secured but Lower Unsecured Rate (Β§.32(j)(2))
Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Other GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Not Level 1 or 2A HQLA Collateral Value # Insured * Trigger # Rehypothecated N Business Line # Internal # Internal Counterparty #
(80) Secured but Lower Unsecured Rate (Β§.32(j)(2))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 7 and 11 Product Matches PID SubβProduct For O.S.7 must be firm long, otherwise # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not Level 1 or Level 2a HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated N
41
Counterparty NonβFinancial Corporate, PSE, Other Supranational, Other
GβSIB #
(81) Secured but Lower Unsecured Rate (Β§.32(j)(2)) Field Value Reporting Entity LCR Firm PID O.D.4 (only collateralized deposits) Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE Other; if FDIC insured: Sovereigns, GSEs, MDBs, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate)
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class If FDIC insured: Not Level 1; if not FDIC insured:
Not Level 1 or Level 2A Collateral Value # Insured * Trigger # Rehypothecated N Business Line # Internal # Internal Counterparty #
(82) Secured but Lower Unsecured Rate (Β§.32(j)(2))
Field Value Reporting Entity LCR Firm PID O.D.7 (only collateralized deposits) Product Matches PID Counterparty NonβFinancial Corporate, PSE, Other
Supranational, Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE Other
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Not Level 1 or 2A
42
Collateral Value # Insured # Trigger # Rehypothecated N Business Line # Internal # Internal Counterparty #
(83) Asset Exchange Post L1 Receive L1 (Β§.32(j)(3)(i))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # CID # Counterparty # GβSIB #
(84) Asset Exchange Post L1 Receive L2A (Β§.32(j)(3)(ii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2A HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered #
43
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # CID # Counterparty # GβSIB #
(85) Asset Exchange Post L1 Receive L2B (Β§.32(j)(3)(iii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2B HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(86) Asset Exchange Post L1 Receive Non-HQLA (Β§.32(j)(3)(iv))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct NonβHQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered #
44
Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(87) Asset Exchange Post L2A Receive L1 or L2A (Β§.32(j)(3)(v))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA or level 2A HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(88) Asset Exchange Post L2A Receive L2B (Β§.32(j)(3)(vi))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2B HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control #
45
Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(89) Asset Exchange Post L2A Receive Non-HQLA (Β§.32(j)(3)(vii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct NonβHQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB
(90) Asset Exchange Post L2B Receive L1, L2A or L2B (Β§.32(j)(3)(viii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value * Unencumbered # Treasury Control # Internal #
46
Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(91) Asset Exchange Post L2B Receive Non-HQLA (Β§.32(j)(3)(ix))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct NonβHQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(92) Asset Exchange Post Rehypothecated Assets >30 days Receive L1 (Β§.32(j)(3)(x))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty #
47
Business Line # Settlement # Counterparty # GβSIB
(93) Asset Exchange Post Rehypothecated Assets >30 days Receive L2A (Β§.32(j)(3)(xi))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB
(94) Asset Exchange Post Rehypothecated Assets >30 days Receive L2B (Β§.32(j)(3)(xii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line #
48
Settlement # Counterparty # GβSIB #
(95) Asset Exchange Post Rehypothecated Assets >30 days Receive Non-HQLA (Β§.32(j)(3)(xiii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct NonβHQLA or No Collateral Pledged Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # GβSIB #
(96) Foreign Central Banking Borrowing (Β§.32(k))
Field Value Reporting Entity LCR Firm PID O.D.4, 5, 6, 7(only collateralized deposits)
(foreign central banks where the sovereign has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above, see relevant footnotes above)
Product Matches PID Counterparty Central Bank GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class * Collateral Value * Insured # Trigger #
49
Rehypothecated # Business Line # Internal # Internal Counterparty #
(97) Foreign Central Banking Borrowing (Β§.32(k))
Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3 (foreign central banks where the
sovereign has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above, see relevant footnotes above)
Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class * Collateral Value * Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Central Bank GβSIB #
(98) Foreign Central Banking Borrowing (Β§.32(k))
Field Value Reporting Entity LCR Firm PID O.S.6 (foreign central banks where the sovereign
has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above)
Product Matches PID SubβProduct Specific central bank Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL
50
Forward Start Bucket NULL Collateral Class * Collateral Value * Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Central Bank GβSIB
(99) Other Contractual Outflows (Β§.32(l))
Field Value Reporting Entity LCR Firm PID O.O.19 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
(100) Other Contractual Outflows (Β§.32(l))
Field Value Reporting Entity LCR Firm PID O.O.22 Product Matches PID Counterparty Not Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line #
51
INFLOW VALUES
(101) Net Derivatives Cash Inflow Amount (Β§.33(b)) Field Value Reporting Entity LCR Firm PID I.O.7 Product Matches PID Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Treasury Control # Counterparty # GβSIB # Internal # Internal Counterparty # Business Line #
(102) Retail Cash Inflow Amount (Β§.33(c))
Field Value Reporting Entity LCR Firm PID I.U.5 and 6 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line #
(103) Retail Cash Inflow Amount (Β§.33(c))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount *
52
Maturity Bucket <= 30 calendar days but not Open Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Retail or Small Business GβSIB #
(104) Financial and Central Bank Cash Inflow Amount (Β§.33(d)(1))
Field Value Reporting Entity LCR Firm PID I.U.1, 2, 4, 5, 6 and 9 Product Matches PID Counterparty Pension Fund, Bank, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Central Bank
GβSIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line #
(105) Financial and Central Bank Cash Inflow Amount (Β§.33(d)(1))
Field Value Reporting Entity LCR Firm PID I.A.3 Product Matches PID SubβProduct # Market Value *
53
Lendable Value # Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Aβ0βQ Treasury Control # Accounting Designation # Effective Maturity Bucket # Encumbrance Type # Internal Counterparty #
(106) Financial and Central Bank Cash Inflow Amount (Β§.33(d)(1))
Field Value Reporting Entity LCR Firm PID I.S.7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not securities or loans Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Pension Fund, Bank, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE, Central Bank
GβSIB #
(107) Non-Financial Wholesale Cash Inflow Amount (Β§.33(d)(2)) Field Value Reporting Entity LCR Firm PID I.U.1, 2, and 6 Product Matches PID nterparty NonβFinancial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Other GβSIB #
54
Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line #
(108) Non-Financial Wholesale Cash Inflow Amount (Β§.33(d)(2))
Field Value Reporting Entity LCR Firm PID I.S.7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not securities or loans Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty NonβFinancial Corporate, Sovereign, GSE, PSE,
MDB, Other Supranational, Other GβSIB #
(109) Securities Cash Inflow Amount (Β§.33(e))
Field Value Reporting Entity LCR Firm PID I.O.6 and I.O.8 Product Matches PID Maturity Amount *
55
Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class NonβHQLA securities Collateral Value # Treasury Control # Counterparty # GβSIB # Internal # Internal Counterparty # Business Line #
(110) Securities Cash Inflow Amount (Β§.33(e))
Field Value Reporting Entity LCR Firm PID I.O.6 and I.O.8 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value # Treasury Control N Counterparty # GβSIB # Internal # Internal Counterparty # Business Line #
(111) Secured Lending when Asset Rehypothecated not returned within 30 days (Β§.33(f)(1)(i))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, and 6 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered N Treasury Control #
56
Internal # Internal Counterparty # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(112) Secured Lending when Asset Available for Return (Β§.33(f)(1)(ii))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Securities and loans that are not HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(113) Secured Lending when Asset Available for Return (Β§.33(f)(1)(ii))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL
57
Forward Start Bucket NULL Collateral Class HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered N Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(114) Secured Lending when Asset Available for Return (Β§.33(f)(1)(ii))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control N Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(115) Secured Lending with L1 HQLA (Β§.33(f)(1)(iii))
Field Value Reporting Entity LCR Firm
58
PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(116) Secured Lending with L1 HQLA (Β§.33(f)(1)(iii))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered Y Treasury Control Y Internal # Internal Counterparty #
59
Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(117) Secured Lending with L2A HQLA (Β§.33(f)(1)(iv))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(118) Secured Lending with L2A HQLA (Β§.33(f)(1)(iv))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL
60
Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(119) Secured Lending with L2B HQLA (Β§.33(f)(1)(v))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(120) Secured Lending with L2B HQLA (Β§.33(f)(1)(v))
Field Value Reporting Entity LCR Firm
61
PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(121) Secured Lending with Non-HQLA (Β§.33(f)(1)(vi))
Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Securities and loans that are not HQLA Collateral Value To the extent the Collateral Value is less than the
Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d)
Unencumbered # Treasury Control # Internal # Internal Counterparty #
62
Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(122) Margin Loans for Non-HQLA (Β§.33(f)(1)(vii))
Field Value Reporting Entity LCR Firm PID I.S.5 Product Matches PID SubβProduct # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Securities and loans that are not HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business GβSIB #
(123) Asset Exchange Collateral Rehypothecated and Not Returning within 30 days (Β§.33(f)(2)(i))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct * Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered #
63
Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(124) Asset Exchange Post L1 Receive L1 (Β§.33(f)(2)(ii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(125) Asset Exchange Post L2A Receive L1 (Β§.33(f)(2)(iii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL
64
Collateral Class Level 2A HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(126) Asset Exchange Post L2B Receive L1 (Β§.33(f)(2)(iv))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(127) Asset Exchange Post Non-HQLA Receive L1 (Β§.33(f)(2)(v))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open
65
Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(128) Asset Exchange Post L2A Receive L2A (Β§.33(f)(2)(vi))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(129) Asset Exchange Post L2B Receive L2A (Β§.33(f)(2)(vii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2A HQLA Maturity Amount *
66
Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(130) Asset Exchange Post Non-HQLA Receive L2A (Β§.33(f)(2)(viii))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(131) Asset Exchange Post L2B Receive L2B (Β§.33(f)(2)(ix))
Field Value Reporting Entity LCR Firm PID I.S.4
67
Product Matches PID SubβProduct Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(132) Asset Exchange Post Non-HQLA Receive L2B (Β§.33(f)(2)(x))
Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID SubβProduct Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # GβSIB #
(133) Broker-Dealer Segregated Account Inflow Amount (Β§.33(g))
68
Field Value Reporting Entity LCR Firm PID I.O.5 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Treasury Control # Counterparty # GβSIB # Internal # Internal Counterparty # Business Line #
(134) Other Cash Inflow Amount (Β§.33(h))
Field Value Reporting Entity LCR Firm PID I.O.9 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Treasury Control # Counterparty # GβSIB # Internal # Internal Counterparty # Business Line #
69
APPENDIX VII
Short-Term Wholesale Funding (STWF) to FR 2052a Mapping
Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to assist reporting firms that must file Schedule G or N (STWF Indicator) of the FR Yβ15 (Banking Organization Systemic Risk Report) in mapping the specific line items on Schedule G or N to the unique data identifiers reported on the FR 2052a. This mapping document is not a part of any regulation nor a component of official guidance related to the FR 2052a or FR Yβ15 reports. Firms may use this mapping document solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be published and reporting firms will be notified of these changes.
Key
* Values relevant to Schedule G or N of the FR Yβ15
# Values not relevant to Schedule G or N of the FR Yβ15
NULL Should not have an associated value
FR 2052a to FR Y-15, Schedule G Map Item 1.a: Funding secured by level 1 liquid assets (sum of tables 1β3) (1) O.D. PIDs for item 1.a
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14 ,15 Product Matches PID Counterparty Not Retail or Small Business
GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Level 1 HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal #
70
Internal Counterparty #
(2) O.S. PIDs for item 1.a Field Value Reporting Entity FR Yβ15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID Subβproduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business
GβSIB #
(3) O.W. PIDs for item 1.a Field Value Reporting Entity FR Yβ15 Firm Currency * Converted # PID O.W.1β7, 9β19 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality #
71
Collateral Class Level 1 HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
Item 1.b: Retail brokered deposits and sweeps (table 4)
(4) O.D. PIDs for item 1.b
Field Value Reporting Entity FR Yβ15 Firm PID O.D.8, 9, 10, 11 and 13 Product Matches PID Counterparty Retail or Small Business GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
Item 1.c: Unsecured wholesale funding obtained outside of the financial sector (sum of tables 5 and 6)
(5) O.D. PIDs for item 1.c
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID CID Matches Counterparty Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other Maturity Amount *
72
Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class NULL or not securities or loans Collateral Value # Insured # Trigger # Rehypothecated # Loss Absorbency # Business Line # Internal # Internal Counterparty #
(6) O.W. PIDs for item 1.c
Field Value Reporting Entity FR Yβ15 Firm PID O.W.9, 10, 17, 18, 19 Product Matches PID Counterparty NonβFinancial Corporate, Sovereign, Central
Bank, GSE, PSE, MDB, Other Supranational, Other GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class NULL Collateral Value NULL Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
Item 1.d: Firm short positions involving level 2B liquid assets or nonβHQLA (table 7)
(7) O.S. PIDs for item 1.d
Field Value Reporting Entity FR Yβ15 Firm Currency * Converted # PID O.S.8 Product Matches PID
73
SubβProduct External Cash Transaction, External NonβCash Transaction, Customer Longs
Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount # Forward Start Bucket # Collateral Class Not Level 1 or 2A HQLA Collateral Value # Collateral Currency # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty #
GβSIB #
Item 2.a: Funding secured by level 2A liquid assets (sum of tables 8β10)
(8) O.D. PIDs for item 2.a
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID Counterparty Not Retail or Small Business
GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value # Insured # Trigger # Rehypothecated #
74
Business Line # Internal # Internal Counterparty #
(9) O.S. PIDs for item 2.a
Field Value Reporting Entity FR Yβ15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business
GβSIB #
(10) O.W. PIDs for item 2.a Field Value Reporting Entity FR Yβ15 Firm PID O.W.1β7, 9β19 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Level 2A HQLA
75
Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
Item 2.b: Covered asset exchanges (level 1 to level 2A) (table 11)
(11) O.S. PIDs for item 2.b
Field Value Reporting Entity FR Yβ15 Firm PID O.S.4 Product Matches PID SubβProduct Level 1 Received Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty # GβSIB #
Item 3.a: Funding secured by level 2B liquid assets (sum of tables 12β14)
(12) O.D. PIDs for item 3.a
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13,14 and 15 Product Matches PID Counterparty Not Retail or Small Business
76
GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(13) O.S. PIDs for item 3.a
Field Value Reporting Entity FR Yβ15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or
Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business
GβSIB #
(14) O.W. PIDs for item 3.a Field Value
77
Reporting Entity FR Yβ15 Firm PID O.W.1β7, 9β19 Product Matches PID Counterparty # GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
Item 3.b: Other covered asset exchanges (table 15)
(15) O.S. PIDs for item 3.b
Field Value Reporting Entity FR Yβ15 Firm PID I.S.4 Product Matches PID SubβProduct Level 2b Pledged, NonβHQLA Pledged, No
Collateral Pledged Maturity Amount # Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class For SubβProduct value of Level 2b Pledged: Level 1
or Level 2A HQLA; For SubβProduct values of NonβHQLA Pledged and No Collateral Pledged: all HQLA
Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight #
78
Business Line # Settlement # Counterparty # GβSIB #
Item 3.c: Unsecured wholesale funding obtained within the financial sector (sum of tables 16 and 17)
(16) O.D. PIDs for item 3.c
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6,8,9,10,11, 13,14,15 Product Matches PID Counterparty Pension Fund, Bank, BrokerβDealer, Investment
Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE
GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class NULL or not securities or loans Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(17) O.W. PIDs for item 3.c
Field Value Reporting Entity FR Yβ15 Firm PID O.W.8β19 Product Matches PID Counterparty For OW.8, 11β16: #; For O.W.9, 10, 17, 18, 19:
Pension Fund, Bank, BrokerβDealer, Investment Company or Advisor, Financial Market Utility, Other Supervised NonβBank Financial Entity, NonβRegulated Fund, Debt Issuing SPE , or NULL
GβSIB # Maturity Amount *
79
Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class NULL Collateral Value NULL Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
Item 4: All other components of shortβterm wholesale funding (sum of tables 18β20)
(18) O.D. PIDs for item 4
Field Value Reporting Entity FR Yβ15 Firm PID O.D.5, 6,8,9,10,11,13,14,15 Product Matches PID Counterparty Not Retail or Small Business
GβSIB # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Not HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty #
(19) O.S. PIDs for item 4
Field Value Reporting Entity FR Yβ15 Firm PID O.S.1, 2, 5, 6, 7 and 11 Product Matches PID
80
SubβProduct For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise
Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business GβSIB #
(20) O.W. PIDs for item 4
Field Value Reporting Entity FR Yβ15 Firm PID O.W.1β7 Product Matches PID Counterparty # Maturity Amount * Maturity Bucket Column A: <=30 days
Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr
Maturity Optionality # Collateral Class Not Level 1, 2A, or 2B HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line #
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